Pricing equity options on multiple underlyings in the South African context

It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2008

Author dc:creator

• Preston, Bradley

Advisor dc:contributor.advisor

• Bosman, Petrus

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4922

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4922